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Generalized autoregressive conditional heteroskedasticity
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Cited by:
- Fokianos, Konstantinos & Rahbek, Anders & Tjøstheim, Dag, 2009.
"Poisson Autoregression,"
Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1430-1439.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2008. "Poisson Autoregression," Discussion Papers 08-35, University of Copenhagen. Department of Economics, revised Dec 2008.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2009. "Poisson Autoregression," CREATES Research Papers 2009-12, Department of Economics and Business Economics, Aarhus University.
- Alethea Rea & William Rea & Marco Reale & Carl Scarrott, 2012. "A comparison of Spillover Effects before, during and after the 2008 Financial Crisis," Working Papers in Economics 12/03, University of Canterbury, Department of Economics and Finance.
- Oberndorfer, Ulrich, 2008. "EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry," ZEW Discussion Papers 08-059, ZEW - Leibniz Centre for European Economic Research.
- Madhusudan Karmakar, 2007. "Asymmetric Volatility and Risk-return Relationship in the Indian Stock Market," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 8(1), pages 99-116, January.
- Seiler, Volker, 2024.
"The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 160-179.
- Volker Seiler, 2024. "The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain," Post-Print hal-04549980, HAL.
- Leopoldo Catania & Nima Nonejad, 2016. "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers 1605.00230, arXiv.org, revised Nov 2016.
- Marobhe, Mutaju Isaack & Kansheba, Jonathan Mukiza, 2024. "Airlines and climate policy uncertainty: Are the sector's stocks soaring or stalling?," Journal of Air Transport Management, Elsevier, vol. 115(C).
- Krebs, Tom, 1997. "Statistical Equilibrium in One-Step Forward Looking Economic Models," Journal of Economic Theory, Elsevier, vol. 73(2), pages 365-394, April.
- Burak Saltoglu, 2003. "Comparing forecasting ability of parametric and non-parametric methods: an application with Canadian monthly interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 13(3), pages 169-176.
- Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute.
- Mario Bonino & Matteo Camelia & Paolo Pigato, 2014.
"A multivariate model for financial indices and an algorithm for detection of jumps in the volatility,"
Papers
1404.7632, arXiv.org, revised Dec 2016.
- Mario Bonino & Matteo Camelia & Paolo Pigato, 2016. "A multivariate model for financial indices and an algorithm for detection of jumps in the volatility," Working Papers hal-01408495, HAL.
- Chia-Lin Chang & Michael Mcaleer, 2012.
"Aggregation, Heterogeneous Autoregression And Volatility Of Daily International Tourist Arrivals And Exchange Rates,"
The Japanese Economic Review, Japanese Economic Association, vol. 63(3), pages 397-419, September.
- Chia-Lin Chang & Michael McAleer, 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," CIRJE F-Series CIRJE-F-716, CIRJE, Faculty of Economics, University of Tokyo.
- Chia-Lin Chang & Michael McAleer, 2011. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," Documentos de Trabajo del ICAE 2011-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chia-Lin Chang & Michael McAleer, 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," KIER Working Papers 712, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Michael McAleer, 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," Working Papers in Economics 10/02, University of Canterbury, Department of Economics and Finance.
- Chang, C-L. & McAleer, M.J., 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," Econometric Institute Research Papers EI 2010-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Breach, Tomas & D’Amico, Stefania & Orphanides, Athanasios, 2020.
"The term structure and inflation uncertainty,"
Journal of Financial Economics, Elsevier, vol. 138(2), pages 388-414.
- Tomas Breach & Stefania D'Amico & Athanasios Orphanides, 2016. "The Term Structure and Inflation Uncertainty," Working Paper Series WP-2016-22, Federal Reserve Bank of Chicago.
- Orphanides, Athanasios & Breach, Tomas & D'Amico, Stefania, 2016. "The Term Structure and Inflation Uncertainty," CEPR Discussion Papers 11730, C.E.P.R. Discussion Papers.
- Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2010.
"Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets,"
Econometric Institute Research Papers
EI 2010-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," KIER Working Papers 717, Kyoto University, Institute of Economic Research.
- Chialin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," CIRJE F-Series CIRJE-F-718, CIRJE, Faculty of Economics, University of Tokyo.
- Takaishi, Tetsuya, 2018. "Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 500(C), pages 139-154.
- José Eduardo Medina Reyes & Agustín Ignacio Cabrera Llanos & Salvador Cruz Aké, 2023. "Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 18(3), pages 1-22, Julio - S.
- Camilo Serrano & Martin Hoesli, 2010.
"Are Securitized Real Estate Returns more Predictable than Stock Returns?,"
The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 170-192, August.
- Camilo Serrano & Martin Hoesli, 2008. "Are Securitized Real Estate Returns more Predictable than Stock Returns?," Swiss Finance Institute Research Paper Series 08-27, Swiss Finance Institute.
- Camilo Serrano & Martin Hoesli, 2008. "Are Securitized Real Estate Returns More Predictable Than Stock Returns?," ERES eres2008_252, European Real Estate Society (ERES).
- Jose A. Lopez & Christian Walter, 1997.
"Is implied correlation worth calculating? Evidence from foreign exchange options and historical data,"
Research Paper
9730, Federal Reserve Bank of New York.
- Jose A. Lopez & Christian Walter, 2000. "Is implied correlation worth calculating? Evidence from foreign exchange options and historical data," Working Paper Series 2000-02, Federal Reserve Bank of San Francisco.
- Yaya, OlaOluwa & Ogbonna, Ahamuefula, 2018. "Modelling crude oil-petroleum products’ price nexus using dynamic conditional correlation GARCH models," MPRA Paper 91227, University Library of Munich, Germany.
- Beran, Jan & Feng, Yuanhua, 1999. "Local Polynomial Estimation with a FARIMA-GARCH Error Process," CoFE Discussion Papers 99/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Marimoutou, Vêlayoudom & Soury, Manel, 2015. "Energy markets and CO2 emissions: Analysis by stochastic copula autoregressive model," Energy, Elsevier, vol. 88(C), pages 417-429.
- Corbet, Shaen & Larkin, Charles & McMullan, Caroline, 2020. "The impact of industrial incidents on stock market volatility," Research in International Business and Finance, Elsevier, vol. 52(C).
- Jonathan P. O'Brien & Timothy B. Folta, 2009. "A transaction cost perspective on why, how, and when cash impacts firm performance," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 30(7), pages 465-479.
- Alberto Humala & Gabriel Rodriguez, 2013.
"Some stylized facts of return in the foreign exchange and stock markets in Peru,"
Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 30(2), pages 139-158, May.
- Humala, Alberto & Rodriguez, Gabriel, 2010. "Some stylized facts of returns in the foreign exchange and stock markets in Peru," Working Papers 2010-017, Banco Central de Reserva del Perú.
- Alberto Humala & Gabriel Rodriguez, 2011. "Some Stylized Facts of Returns in the Foreign Exchange and Stock Markets in Peru," Documentos de Trabajo / Working Papers 2011-325, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Pål Boug & Andreas Fagereng, 2010.
"Exchange rate volatility and export performance: a cointegrated VAR approach,"
Applied Economics, Taylor & Francis Journals, vol. 42(7), pages 851-864.
- Pål Boug & Andreas Fagereng, 2007. "Exchange rate volatility and export performance: A cointegrated VAR approach," Discussion Papers 522, Statistics Norway, Research Department.
- Xuedi Li & Jie Ma & Zhu Chen & Haitao Zheng, 2018. "Linkage Analysis among China’s Seven Emissions Trading Scheme Pilots," Sustainability, MDPI, vol. 10(10), pages 1-13, September.
- Hu, John Wei-Shan & Chen, Mei-Yuan & Fok, Robert C. W. & Huang, Bwo-Nung, 1997. "Causality in volatility and volatility spillover effects between US, Japan and four equity markets in the South China Growth Triangular," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(4), pages 351-367, December.
- Angelica Gianfreda, 2010. "Volatility and Volume Effects in European Electricity Spot Markets," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(1‐2), pages 47-63, February.
- Blanka Škrabić Perić & Petar Sorić, 2018. "A Note on the “Economic Policy Uncertainty Index”," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 137(2), pages 505-526, June.
- LINTON, Olivier & PERRON, Benoît, 1999.
"The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model,"
Cahiers de recherche
9911, Universite de Montreal, Departement de sciences economiques.
- Benoit Perron & Oliver Linton, 2004. "The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model," FMG Discussion Papers dp514, Financial Markets Group.
- Linton, Oliver & Perron, Benoit, 2000. "The shape of the risk premium: evidence from a semiparametric GARCH model," LSE Research Online Documents on Economics 24769, London School of Economics and Political Science, LSE Library.
- Dankenbring, Henning, 1998. "Volatility estimates of the short term interest rate with an application to German data," SFB 373 Discussion Papers 1998,96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Li, Liuling & Mizrach, Bruce, 2010.
"Tail return analysis of Bear Stearns' credit default swaps,"
Economic Modelling, Elsevier, vol. 27(6), pages 1529-1536, November.
- Liuling Li & Bruce Mizrach, 2010. "Tail Return Analysis of Bear Stearns Credit Default Swaps," Departmental Working Papers 201003, Rutgers University, Department of Economics.
- Cho, Guedae & Kim, MinKyoung & Koo, Won W., 2003. "Relative Agricultural Price Changes In Different Time Horizons," 2003 Annual meeting, July 27-30, Montreal, Canada 22249, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Valeriy Gavrishchaka & Supriya Banerjee, 2006. "Support Vector Machine as an Efficient Framework for Stock Market Volatility Forecasting," Computational Management Science, Springer, vol. 3(2), pages 147-160, April.
- David McMillan & Mark Wohar, 2011. "Structural breaks in volatility: the case of UK sector returns," Applied Financial Economics, Taylor & Francis Journals, vol. 21(15), pages 1079-1093.
- Panagiotidis, Theodore & Papapanagiotou, Georgios & Stengos, Thanasis, 2022.
"On the volatility of cryptocurrencies,"
Research in International Business and Finance, Elsevier, vol. 62(C).
- Thanasis Stengos & Theodore Panagiotidis & Georgios Papapanagiotou, 2022. "On the volatility of cryptocurrencies," Working Papers 2202, University of Guelph, Department of Economics and Finance.
- Minot, Nicholas, 2014.
"Food price volatility in sub-Saharan Africa: Has it really increased?,"
Food Policy, Elsevier, vol. 45(C), pages 45-56.
- Minot, Nicholas, 2012. "Food price volatility in sub-Saharan Africa: Has it really increased?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 134146, International Association of Agricultural Economists.
- P., Srinivasan & M., Kalaivani, 2013. "Day-of-the-Week Effects in the Indian stock market," MPRA Paper 46805, University Library of Munich, Germany.
- McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013.
"GFC-robust risk management strategies under the Basel Accord,"
International Review of Economics & Finance, Elsevier, vol. 27(C), pages 97-111.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Documentos de Trabajo del ICAE 1001, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers EI 2010-59, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Michael McAleer & Juan-à ngel Jiménez-MartÃn & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," KIER Working Papers 727, Kyoto University, Institute of Economic Research.
- Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Working Papers in Economics 10/63, University of Canterbury, Department of Economics and Finance.
- Umar, Muhammad & Mirza, Nawazish & Rizvi, Syed Kumail Abbas & Furqan, Mehreen, 2023. "Asymmetric volatility structure of equity returns: Evidence from an emerging market," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 330-336.
- Kulikova, Maria V. & Taylor, David R. & Kulikov, Gennady Yu., 2024. "Evolving efficiency of the BRICS markets," Economic Systems, Elsevier, vol. 48(1).
- Liesenfeld, Roman, 1997. "Trading volume and the short and long-run components of volatility," Tübinger Diskussionsbeiträge 102, University of Tübingen, School of Business and Economics.
- Eyden Samunderu & Yvonne T. Murahwa, 2021. "Return Based Risk Measures for Non-Normally Distributed Returns: An Alternative Modelling Approach," JRFM, MDPI, vol. 14(11), pages 1-48, November.
- Raymond Kan & Cesare Robotti, 2016. "The Exact Distribution of the Hansen–Jagannathan Bound," Management Science, INFORMS, vol. 62(7), pages 1915-1943, July.
- Arif Oduncu, 2011. "The Effects of Currency Futures Trading on Turkish Currency Market," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 5(1), pages 97-109.
- Shively, Gerald E., 2001. "Price thresholds, price volatility, and the private costs of investment in a developing country grain market," Economic Modelling, Elsevier, vol. 18(3), pages 399-414, August.
- Lahmiri, Salim & Bekiros, Stelios, 2017. "Disturbances and complexity in volatility time series," Chaos, Solitons & Fractals, Elsevier, vol. 105(C), pages 38-42.
- OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida & Nuruddeen Abu, 2021.
"Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1318-1335, January.
- Yaya, OlaOluwa S & Ogbonna, Ephraim A & Mudida, Robert, 2019. "Market Efficiency and Volatility Persistence of Cryptocurrency during Pre- and Post-Crash Periods of Bitcoin: Evidence based on Fractional Integration," MPRA Paper 91450, University Library of Munich, Germany.
- Slah Bahloul & Fathi Abid, 2012. "Regime-Switching Behavior in the Conditional Volatility of MENA Stock Market Returns," Working Papers 683, Economic Research Forum, revised 2012.
- Bohl, Martin T. & Diesteldorf, Jeanne & Siklos, Pierre L., 2015.
"The effect of index futures trading on volatility: Three markets for Chinese stocks,"
China Economic Review, Elsevier, vol. 34(C), pages 207-224.
- Martin T. Bohl & Jeanne Diesteldorf & Pierre L. Siklos, 2014. "The Effect of Index Futures Trading on Volatility: Three Markets for Chinese Stocks," CQE Working Papers 3614, Center for Quantitative Economics (CQE), University of Muenster.
- Martin T. Bohl, Jeanne Diesteldorf, Pierre L. Siklos, 2015. "The effect of index futures trading on volatility: Three markets for Chinese stocks," LCERPA Working Papers 0087, Laurier Centre for Economic Research and Policy Analysis, revised 01 Feb 2015.
- Cheng, Hung-Wen & Chang, Li-Han & Lo, Chien-Ling & Tsai, Jeffrey Tzuhao, 2023. "Empirical performance of component GARCH models in pricing VIX term structure and VIX futures," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 122-142.
- Naseem, N.A.M & Tan, Hui-Boon & Hamizah, M.S, 2008. "Exchange Rate Misalignment, Volatility and Import Flows in Malaysia," MPRA Paper 41571, University Library of Munich, Germany.
- Thushari N. Vidanage & Fabrizio Carmignani & Tarlok Singh, 2017. "Predictability of Return Volatility Across Different Emerging Capital Markets: Evidence from Asia," South Asian Journal of Macroeconomics and Public Finance, , vol. 6(2), pages 157-177, December.
- Baviera, Roberto & Pasquini, Michele & Serva, Maurizio & Vergni, Davide & Vulpiani, Angelo, 2001. "Correlations and multi-affinity in high frequency financial datasets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 300(3), pages 551-557.
- Yue Fang & John Zhang, 1999. "Performance of control charts for autoregressive conditional heteroscedastic processes," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(6), pages 701-714.
- Ball, Clifford A. & Torous, Walter N., 2000. "Stochastic correlation across international stock markets," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 373-388, November.
- Elyasiani, Elyas & Mansur, Iqbal & Pagano, Michael S., 2007. "Convergence and risk-return linkages across financial service firms," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1167-1190, April.
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"Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options,"
Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 31(3), pages 1-21, December.
- Egelkraut, Thorsten M. & Garcia, Philip, 2005. "Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19033, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
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- Emmanuel Kumi & Muazu Ibrahim & Thomas Yeboah, 2017. "Aid, Aid Volatility and Sectoral Growth in Sub-Saharan Africa: Does Finance Matter?," Journal of African Business, Taylor & Francis Journals, vol. 18(4), pages 435-456, October.
- Markus Leippold & Hanlin Yang, 2023. "Mixed‐frequency predictive regressions with parameter learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 1955-1972, December.
- Felix Chan & Dora Marinova & Michael McAleer, 2004. "Modelling the asymmetric volatility of anti-pollution patents in the USA," Scientometrics, Springer;Akadémiai Kiadó, vol. 59(2), pages 179-197, February.
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"Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices,"
Tinbergen Institute Discussion Papers
03-071/4, Tinbergen Institute.
- Marius Ooms & M. Angeles Carnero & Siem Jan Koopman, 2004. "Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices," Econometric Society 2004 Australasian Meetings 158, Econometric Society.
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"Identifying the Common Component of International Economic Fluctuations: A New Approach,"
Economic Journal, Royal Economic Society, vol. 113(484), pages 101-127, January.
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"Marginalization and contemporaneous aggregation in multivariate GARCH processes,"
Journal of Econometrics, Elsevier, vol. 71(1-2), pages 71-87.
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"Risk management of precious metals,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 435-441.
- Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2010. "Risk Management of Precious Metals," Working Papers in Economics 10/37, University of Canterbury, Department of Economics and Finance.
- Hammoudeh, S.M. & Malik, F. & McAleer, M.J., 2010. "Risk management of precious metals," Econometric Institute Research Papers EI 2010-48, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2011. "Risk Management of Precious Metals," KIER Working Papers 765, Kyoto University, Institute of Economic Research.
- Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2011. "Risk Management of Precious Metals," Documentos de Trabajo del ICAE 2011-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Gürtler, Marc & Rauh, Ronald, 2012. "Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity," Working Papers IF41V1, Technische Universität Braunschweig, Institute of Finance.
- Kenourgios, Dimitris & Naifar, Nader & Dimitriou, Dimitrios, 2016. "Islamic financial markets and global crises: Contagion or decoupling?," Economic Modelling, Elsevier, vol. 57(C), pages 36-46.
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- Kulp-Tåg, Sofie, 2007. "An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions," Working Papers 526, Hanken School of Economics.
- Chang, C-L. & McAleer, M.J., 2017.
"The Fiction of Full BEKK,"
Econometric Institute Research Papers
TI 2017-015/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Michael McAleer, 2017. "The Fiction of Full BEKK," Documentos de Trabajo del ICAE 2017-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & Maasoumi, Esfandiar & McAleer, Michael & Pérez-Amaral, Teodosio, 2019.
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